A quantitative approach to Faber's tactical asset allocation
A quantitative approach to Faber's tactical asset allocation
Marmi, Stefano ; Pacati, Claudio ; Renò, Roberto ; Risso, Wiston Adrián
2013-01-01 00:00:00
Routinely, practitioners and academics alike propose the use of trading strategies with an alleged improvement on the risk–return relation, typically entailing a considerably higher return for the given level of risk. A very popular example is "A quantitative approach to tactical asset allocation" by the fund manager M. Faber, a real hit in the SSRN online library. Is this paper a counterexample to market efficiency? We reject this conclusion, showing that a lot of caution should be used in this field, and we indicate a series of bootstrapping experiments which can be easily implemented to evaluate the performance of trading strategies.
http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.pngInternational Journal of Computational Economics and EconometricsInderscience Publishershttp://www.deepdyve.com/lp/inderscience-publishers/a-quantitative-approach-to-faber-s-tactical-asset-allocation-q1NtWMq1Bf
A quantitative approach to Faber's tactical asset allocation
Routinely, practitioners and academics alike propose the use of trading strategies with an alleged improvement on the risk–return relation, typically entailing a considerably higher return for the given level of risk. A very popular example is "A quantitative approach to tactical asset allocation" by the fund manager M. Faber, a real hit in the SSRN online library. Is this paper a counterexample to market efficiency? We reject this conclusion, showing that a lot of caution should be used in this field, and we indicate a series of bootstrapping experiments which can be easily implemented to evaluate the performance of trading strategies.
Journal
International Journal of Computational Economics and Econometrics
– Inderscience Publishers
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